Universality classes of fluctuation dynamics in hierarchical complex systems

Matrix H-theory approach to stock market fluctuations

We introduce matrix H theory, a framework for analyzing collective behavior arising from multivariate stochastic processes with hierarchical structure. The theory models the joint distribution of the multiple variables (the measured signal) as a compound of a large-scale multivariate distribution with the distribution of a slowly fluctuating background. The background is characterized by a hierarchical stochastic evolution of internal degrees of freedom, representing the correlations between stocks at different timescales. As in its univariate version, the matrix H-theory formalism also has two universality classes, Wishart and inverse Wishart, enabling a concise description of both the background and the signal probability distributions in terms of Meijer G functions with matrix argument. Empirical analysis of daily returns of stocks within the S&P 500 demonstrates the effectiveness of matrix H theory in describing fluctuations in stock markets. These findings contribute to a deeper understanding of multivariate hierarchical processes and offer potential for developing more informed portfolio strategies in financial markets.

Turbulence hierarchy in foreign exchange markets

We present a multiscale stochastic analysis of foreign exchange rates using the H-theory formalism, which provides a hierarchical intermittency model for the information cascade in the currency market. We examine the distributions of returns and volatilities for the three most traded currency pairs: euro-U.S. dollar, U.S. dollar-Japanese yen, and British pound-U.S. dollar. We find that these markets have a hierarchy of timescales, with larger markets exhibiting more hierarchy levels. We provide a theoretical framework for understanding why the number of levels in the information cascade increases with market size, in analogy with similar behavior for the energy cascade in turbulence as a function of Reynolds number. We briefly argue that using turbulence-like models for financial markets can also provide valuable insights for developing efficient algorithmic trading strategies.

Wave transmission and its universal fluctuations in one-dimensional systems with Lévy-like disorder: Schrödinger, Klein-Gordon, and Dirac equations

We investigate the propagation of waves in one-dimensional systems with Lévy-type disorder. We perform a complete analysis of nonrelativistic and relativistic wave transmission submitted to potential barriers whose width, separation, or both follow Lévy distributions characterized by an exponent 0<α<1. For the first two cases, where one of the parameters is fixed, nonrelativistic and relativistic waves present anomalous localization, 〈T〉∝L^{-α}. However, for the latter case, in which both parameters follow a Lévy distribution, nonrelativistic and relativistic waves present a transition between anomalous and standard localization as the incidence energy increases relative to the barrier height. Moreover, we obtain the localization diagram delimiting anomalous and standard localization regimes, in terms of incidence angle and energy. Finally, we verify that transmission fluctuations, characterized by its standard deviation, are universal, independent of barrier architecture, wave equation type, incidence energy, and angle, further extending earlier studies on electronic localization.

Turbulence Hierarchy and Multifractality in the Integer Quantum Hall Transition

We offer a new perspective on the problem of characterizing mesoscopic fluctuations in the interplateau regions of the integer quantum Hall transition. We found that longitudinal and transverse conductance fluctuations, generated by varying the external magnetic field within a microscopic model, are multifractal and lead to distributions of conductance increments (magnetoconductance) with heavy tails (intermittency) and signatures of a hierarchical structure (cascade) in the corresponding stochastic process, akin to Kolmogorov's theory of fluid turbulence. We confirm this picture by interpreting the stochastic process of the conductance increments in the framework of H theory, which is a continuous-time stochastic approach that incorporates the basic features of Kolmogorov's theory. The multifractal analysis of the conductance "time series," combined with the H-theory formalism, provides strong support for the overall characterization of mesoscopic fluctuations in the quantum Hall transition as a multifractal stochastic phenomenon with multiscale hierarchy, intermittency, and cascade effects.

Multifractal magnetoconductance fluctuations in mesoscopic systems

We perform a multifractal detrended fluctuation analysis of the magnetoconductance data of two standard types of mesoscopic systems: a disordered nanowire and a ballistic chaotic billiard, with two different lattice structures. We observe in all cases that multifractality is generally present and that it becomes stronger in the quantum regime of conduction, i.e., when the number of open scattering channels is small. We argue that this behavior originates from correlations induced by the magnetic field, which can be characterized through the distribution of conductance increments in the corresponding "stochastic time series," with the magnetic field playing the role of a fictitious time. More specifically, we show that the distributions of conductance increments are well fitted by q Gaussians and that the value of the parameter q is a useful quantitative measure of multifractality in magnetoconductance fluctuations.

Dirac wave transmission in Lévy-disordered systems

We investigate the propagation of electronic waves described by the Dirac equation subject to a Lévy-type disorder distribution. Our numerical calculations, based on the transfer matrix method, in a system with a distribution of potential barriers show that it presents a phase transition from anomalous to standard to anomalous localization as the incidence energy increases. In contrast, electronic waves described by the Schrödinger equation do not present such transitions. Moreover, we obtain the phase diagram delimiting anomalous and standard localization regimes, in the form of an incidence angle versus incidence energy diagram, and argue that transitions can also be characterized by the behavior of the dispersion of the transmission. We attribute this transition to an abrupt reduction in the transmittance of the system when the incidence angle is higher than a critical value which induces a decrease in the transmission fluctuations.

Turbulent Intermittency in a Random Fiber Laser

In fluid turbulence, intermittency is the emergence of non-Gaussian tails in the distribution of velocity increments in small space and/or time scales. Intermittence is thus expected to gradually disappear as one moves from small to large scales. Here we study the turbulent-like intermittency effect experimentally observed in the distribution of intensity fluctuations in a disordered continuous-wave-pumped erbium-doped-based random fiber laser with specially-designed random fiber Bragg gratings. The intermittency effect is investigated as a crossover in the distribution of intensity increments from a heavy-tailed distribution (for short time scales), to a Gaussian distribution (for large time scales). The results are theoretically supported by a hierarchical stochastic model that incorporates Kolmogorov’s theory of turbulence. In particular, the discrete version of the hierachical model allows a general direct interpretation of the number of relevant scales in the photonic hierarchy as the order of the transitions induced by the non-linearities in the medium. Our results thus provide further statistical evidence for the interpretation of the turbulence-like emission previously observed in this system.

Coexistence of turbulence-like and glassy behaviours in a photonic system

Coexistence of physical phenomena can occur in quite unexpected ways. Here we demonstrate the first evidence in any physical system of the coexistence in the same set of measurements of two of the most challenging phenomena in complex systems: turbulence and spin glasses. We employ a quasi-one-dimensional random fibre laser, which displays all essential ingredients underlying both behaviours, namely disorder, frustration and nonlinearity, as well as turbulent energy cascades and intermittent energy flux between fluctuation scales. Our extensive experimental results are theoretically supported by a newly defined photonic Pearson correlation coefficient that unveils the role of the intermittency and describes remarkably well both the spin-glass Parisi overlap parameter and the distribution of turbulent-like intensity increments. Our findings open the way to unravel subtle connections with other complex phenomena, such as disordered nonlinear wave propagation, Lévy statistics of intensity fluctuations, and rogue waves.

Maximum entropy approach to H-theory: Statistical mechanics of hierarchical systems

A formalism, called H-theory, is applied to the problem of statistical equilibrium of a hierarchical complex system with multiple time and length scales. In this approach, the system is formally treated as being composed of a small subsystem-representing the region where the measurements are made-in contact with a set of "nested heat reservoirs" corresponding to the hierarchical structure of the system, where the temperatures of the reservoirs are allowed to fluctuate owing to the complex interactions between degrees of freedom at different scales. The probability distribution function (pdf) of the temperature of the reservoir at a given scale, conditioned on the temperature of the reservoir at the next largest scale in the hierarchy, is determined from a maximum entropy principle subject to appropriate constraints that describe the thermal equilibrium properties of the system. The marginal temperature distribution of the innermost reservoir is obtained by integrating over the conditional distributions of all larger scales, and the resulting pdf is written in analytical form in terms of certain special transcendental functions, known as the Fox H functions. The distribution of states of the small subsystem is then computed by averaging the quasiequilibrium Boltzmann distribution over the temperature of the innermost reservoir. This distribution can also be written in terms of H functions. The general family of distributions reported here recovers, as particular cases, the stationary distributions recently obtained by Macêdo et al. [Phys. Rev. E 95, 032315 (2017)10.1103/PhysRevE.95.032315] from a stochastic dynamical approach to the problem.

First-passage time for superstatistical Fokker-Planck models

The first-passage-time (FPT) problem is studied for superstatistical models assuming that the mesoscopic system dynamics is described by a Fokker-Planck equation. We show that all moments of the random intensive parameter associated to the superstatistical approach can be put in one-to-one correspondence with the moments of the FPT. For systems subjected to an additional uncorrelated external force, the same statistical information is obtained from the dependence of the FPT moments on the external force. These results provide an alternative technique for checking the validity of superstatistical models. As an example, we characterize the mean FPT for a forced Brownian particle.

Turbulence hierarchy in a random fibre laser

Turbulence is a challenging feature common to a wide range of complex phenomena. Random fibre lasers are a special class of lasers in which the feedback arises from multiple scattering in a one-dimensional disordered cavity-less medium. Here we report on statistical signatures of turbulence in the distribution of intensity fluctuations in a continuous-wave-pumped erbium-based random fibre laser, with random Bragg grating scatterers. The distribution of intensity fluctuations in an extensive data set exhibits three qualitatively distinct behaviours: a Gaussian regime below threshold, a mixture of two distributions with exponentially decaying tails near the threshold and a mixture of distributions with stretched-exponential tails above threshold. All distributions are well described by a hierarchical stochastic model that incorporates Kolmogorov’s theory of turbulence, which includes energy cascade and the intermittence phenomenon. Our findings have implications for explaining the remarkably challenging turbulent behaviour in photonics, using a random fibre laser as the experimental platform.

Random fibre lasers constitute a class of lasers where the optical feedback is provided by multiple scattering in a disordered system. Here, González et al. theoretically and experimentally study the statistical turbulence behaviour in relation to the lasing transition in such lasers.